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Estimation error and the specification of unobserved component models

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  • Maravall, Agustin
  • Planas, Christophe

Abstract

The paper deals with the problem of identifying stochastic unobserved two-component models, as in seasonal adjustment or trend-cycle decompositions. Solutions based on the properties of the unobserved component estimation error are considered, and analytical expressions for the variances and covariances of the different types of estimation errors (errors in the final, preliminary, and concurrent estimator and in the forecast) are obtained for any admissible decomposition.
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Suggested Citation

  • Maravall, Agustin & Planas, Christophe, 1999. "Estimation error and the specification of unobserved component models," Journal of Econometrics, Elsevier, vol. 92(2), pages 325-353, October.
  • Handle: RePEc:eee:econom:v:92:y:1999:i:2:p:325-353
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    References listed on IDEAS

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    1. Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, vol. 61(2), pages 197-233, April.
    2. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-174, Summer.
    3. David A. Pierce, 1978. "Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present," NBER Chapters,in: Seasonal Analysis of Economic Time Series, pages 242-280 National Bureau of Economic Research, Inc.
    4. Pierce, David A., 1980. "Data revisions with moving average seasonal adjustment procedures," Journal of Econometrics, Elsevier, vol. 14(1), pages 95-114, September.
    5. Bell, William R & Hillmer, Steven C, 1984. "Issues Involved with the Seasonal Adjustment of Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 291-320, October.
    6. Burridge, Peter & Wallis, Kenneth F, 1984. "Calculating the Variance of Seasonally Adjusted Series," The Warwick Economics Research Paper Series (TWERPS) 251, University of Warwick, Department of Economics.
    7. Robert F. Engle, 1979. "Estimating Structural Models of Seasonality," NBER Chapters,in: Seasonal Analysis of Economic Time Series, pages 281-308 National Bureau of Economic Research, Inc.
    8. David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers 107, Board of Governors of the Federal Reserve System (U.S.).
    9. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Working Papers 9609, Banco de España;Working Papers Homepage.
    10. George E. P. Box & Steven Hillmer & George C. Tiao, 1979. "Analysis and Modeling of Seasonal Time Series," NBER Chapters,in: Seasonal Analysis of Economic Time Series, pages 309-346 National Bureau of Economic Research, Inc.
    11. Hillmer, Steven C, 1985. "Measures of Variability for Model-based Seasonal Adjustment Procedures," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 60-68, January.
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    Cited by:

    1. Laurent Ferrara & Dominique Guégan, 2006. "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(3), pages 353-371.
    2. Norman Loayza & Klaus Schmidt-Hebbel & Luis Servén, 2000. "What Drives Private Saving Across the World?," The Review of Economics and Statistics, MIT Press, pages 165-181.
    3. Andrés Bujosa Brun & Marcos Bujosa Brun & Antonio García-Ferrer, 2013. "Mathematical framework for pseudo-spectra of linear stochastic difference equations," Documentos de Trabajo del ICAE 2013-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised May 2015.
    4. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, pages 203-230.
    5. Gianluca Caporello & Agustín Maravall & Fernando J. Sánchez, 2001. "Program TSW Reference Manual," Working Papers 0112, Banco de España;Working Papers Homepage.
    6. Daragh Clancy, 2013. "Output Gap Estimation Uncertainty: Extracting the TFP Cycle Using an Aggregated PMI Series," The Economic and Social Review, Economic and Social Studies, vol. 44(1), pages 1-18.
    7. Kaloyan Ganev, 2004. "Statistical estimates of the deviations from the macroeconomic potential. An application to the economy of Bulgaria," Working paper series 12004en, Agency for Economic Analysis and Forecasting.
    8. Kaiser, Regina & Maravall, Agustín, 2000. "Notes on time serie analysis, ARIMA models and signal extraction," DES - Working Papers. Statistics and Econometrics. WS 10058, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Guy Mélard, 2016. "On some remarks about SEATS signal extraction," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 53-98, March.
    10. Maravall, Agustin, 2006. "An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2167-2190, May.
    11. Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Working Papers 0012, Banco de España;Working Papers Homepage.
    12. Loayza, Norman & Schmidt-Hebbel, Klaus & Serven, Luis, 2000. "What drives private saving around the world?," Policy Research Working Paper Series 2309, The World Bank.

    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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